xVA
Calculates Credit Risk Valuation Adjustments

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xVA: Calculates Credit Risk Valuation Adjustments
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Man pages for xVA
Calculates Credit Risk Valuation Adjustments

calcCVACapitalCalculates the CVA Capital Charge
calcDefCapitalCalculates the Default Capital Charge
calcEADRegulatoryCalculates the Exposure-At-Default (EAD)
calcEffectiveMaturityCalculates the Effective Maturity
calcKVACalculates the Capital Valuation Adjustment (KVA)
CalcNGRCalculates the Net/Gross ratio (NGR)
CalcPDCalculates the Probablity of Default
CalcSimulatedExposureCalculated the Simulated Exposure Profile
CalcVACalculates the Valuation Adjustment
IS_ELIGIBLE_CCYChecks if specified currency is low risk
IS_IGChecks if Credit rating is Investment Grade
LoadSupervisoryCVADataSupervisory Data Loading
xVACalculatorCalculates the xVA values
xVACalculatorExamplexVA calculation example
xVA documentation built on Aug. 28, 2022, 1:06 a.m.

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